... 22 08 2020 © Emerald Publishing Limited 2020 Emerald Publishing Limited Licensed re-use rights only Realized volatility Model bias Volatility forecasting Equity markets C22 C52 C55 where r t − 1 − = min ( r t − 1 ,   0 ) ,   r t...

... simulation Stochastic differential equations C22 C52 The notion of a deterministic differential equation perturbed by random disturbances that are not necessarily small has been used profitably in a variety of disciplines including inter alia engineering, environmetrics, physics...

... is the average ratio of the stock price to the sum of the stock price and the dividend, and κ is a nonlinear function of ρ. © Emerald Group Publishing Limited 2016 Bounce-back effect Markov-Switching model Stock market returns Volatility feedback C22 G10 Recently...